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Volume 20, Issue 12

Quantitative Finance

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Quantitative Finance, Volume 20, Issue 12 (2020)

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Quantitative Finance, Volume 20, Issue 12 (2020)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Volume 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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7th International Conference on Futures and Other Derivatives (ICFOD)

Feature

Modeling and solving portfolio selection problems based on PVaR

Yanli Huo, Chunhui Xu & Takayuki Shiina

Pages: 1889-1898

Published online: 12 Oct 2020

AbstractforModeling and solving portfolio selection problems based on PVaR | Full Text | References | PDF (671.9 KB) | EPUB

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Editor's foreword

Editorial

Editor’s foreword

Ke Tang

Pages: 1901-1902

Published online: 10 Nov 2020

CitationforEditor’s foreword | Full Text | PDF (107.6 KB) | EPUB

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Special Issue Papers

Article

Bond flotation with exotic commodity collateral

M. A. H. Dempster

Pages: 1903-1925

Published online: 16 Oct 2020

AbstractforBond flotation with exotic commodity collateral | Full Text | References | PDF (3.2 MB) | EPUB

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Article

The impact of US macroeconomic news announcements on Chinese commodity futures

Haidong Cai, Shamim Ahmed, Ying Jiang & Xiaoquan Liu

Pages: 1927-1966

Published online: 07 Oct 2020

AbstractforThe impact of US macroeconomic news announcements on Chinese commodity futures | Full Text | References | PDF (720.4 KB) | EPUB

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Article

Identifying the influential factors of commodity futures prices through a new text mining approach

Jianping Li, Guowen Li, Xiaoqian Zhu & Yanzhen Yao

Pages: 1967-1981

Published online: 15 Oct 2020

AbstractforIdentifying the influential factors of commodity futures prices through a new text mining approach | Full Text | References | PDF (2.6 MB) | EPUB

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Article

Index volatility and the put-call ratio: a tale of three markets

Jianhua Gang, Nan Huang, Ke Song & Ruyi Zhang

Pages: 1983-1996

Published online: 15 Oct 2020

AbstractforIndex volatility and the put-call ratio: a tale of three markets | Full Text | References | PDF (1.3 MB) | EPUB

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Article

Hedging housing price risks: some empirical evidence from the US

Li Bao, William Cheung & Stephan Unger

Pages: 1997-2013

Published online: 15 Oct 2020

AbstractforHedging housing price risks: some empirical evidence from the US | Full Text | References | PDF (531.9 KB) | EPUB

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Article

The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets

Gideon Bruce Arkorful, Haiqiang Chen, Xiaoqun Liu & Chuanhai Zhang

Pages: 2015-2024

Published online: 15 Oct 2020

AbstractforThe impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets | Full Text | References | PDF (912 KB) | EPUB

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Article

Volatility information difference between CDS, options, and the cross section of options returns

Biao Guo, Yukun Shi & Yaofei Xu

Pages: 2025-2036

Published online: 15 Oct 2020

AbstractforVolatility information difference between CDS, options, and the cross section of options returns | Full Text | References | PDF (496.4 KB) | EPUB

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Article

Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree

Changfu Ma, Wei Xu & George Yuan

Pages: 2037-2053

Published online: 15 Oct 2020

AbstractforValuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree | Full Text | References | PDF (2.4 MB) | EPUB

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Article

Chinese write-down bonds: issuance and bank capital structure

P. Li, Y. Han, S. Lin & T. Qiao

Pages: 2055-2065

Published online: 16 Oct 2020

AbstractforChinese write-down bonds: issuance and bank capital structure | Full Text | References | PDF (433.7 KB) | EPUB

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Article

Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction

Feng He, Baiao Liu-Chen, Xiangtong Meng, Xiong Xiong & Wei Zhang

Pages: 2067-2083

Published online: 15 Oct 2020

AbstractforPrice discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction | Full Text | References | PDF (1.7 MB) | EPUB

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Article

Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness

Shimeng Shi, Pei Liu & Jiayuan Xin

Pages: 2085-2100

Published online: 15 Oct 2020

AbstractforDigital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness | Full Text | References | PDF (1.7 MB) | EPUB

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Article

Neural network-based automatic factor construction

Jie Fang, Jianwu Lin, Shutao Xia, Zhikang Xia, Shenglei Hu, Xiang Liu & Yong Jiang

Pages: 2101-2114

Published online: 15 Oct 2020

AbstractforNeural network-based automatic factor construction | Full Text | References | PDF (2.1 MB) | EPUB

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Quantitative Finance (Vol.20, Iss.12, 2020)

7th International Conference on Futures and Other Derivatives (ICFOD)

7th International Conference on Futures and Other Derivatives (ICFOD)

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